arXiv 2017-05-06 EN Computation of second order price sensitivities in depressed markets El-Khatib, Youssef · Hatemi-J, Abdulnasser
arXiv 2017-05-05 EN Hedging in fractional Black-Scholes model with transaction costs Shokrollahi, Foad · Sottinen, Tommi
arXiv 2017-04-11 EN Estimating the Counterparty Risk Exposure by using the Brownian Motion Local Time Bonollo, Michele · Di Persio, Luca · Mammi, Luca · Oliva, Immacolata
arXiv 2017-04-04 EN Discretion versus Policy Rules in Futures Markets: A Case of the Osaka-Dojima Rice Exchange, 1914-1939 Ito, Mikio · Maeda, Kiyotaka · Noda, Akihiko
arXiv 2017-04-02 EN Non-Analytic Solution to the Fokker-Planck Equation of Fractional Brownian Motion via Laplace Transforms Ahuja, Visant
arXiv 2017-03-31 EN Quadratic approximation of slow factor of volatility in a Multi-factor Stochastic volatility Model Malhotra, Gifty · Srivastava, R. · Taneja, H. C.
arXiv 2017-03-28 EN Non-parametric and semi-parametric asset pricing Erdos, Peter · Ormos, Mihaly · Zibriczky, David
arXiv 2017-03-02 EN Pricing of Mexican Interest Rate Swaps in Presence of Multiple Collateral Currencies Inigo, Jorge
arXiv 2017-03-02 EN Moment generating functions and Normalized implied volatilities: unification and extension via Fukasawa's pricing formula De Marco, Stefano · Martini, Claude
arXiv 2017-02-23 EN Robust Hedging of Options on a Leveraged Exchange Traded Fund Cox, Alexander M. G. · Kinsley, Sam M.
arXiv 2017-02-05 EN Perfect hedging under endogenous permanent market impacts Fukasawa, Masaaki · Stadje, Mitja
arXiv 2017-02-01 EN The valuation of European option with transaction costs by mixed fractional Merton model Shokrollahi, Foad
arXiv 2017-01-16 EN On VIX Futures in the rough Bergomi model Jacquier, Antoine · Martini, Claude · Muguruza, Aitor
arXiv 2017-01-07 EN Pricing insurance drawdown-type contracts with underlying Lévy assets Palmowski, Zbigniew · Tumilewicz, Joanna
arXiv 2016-12-20 EN Subdiffusive fractional Brownian motion regime for pricing currency options under transaction costs Shokrollahi, Foad
